["Journal of Futures Markets, Volume 46, Issue 7, Page 1234-1255, July 2026. ", "\nABSTRACT\nUsing tick‐by‐tick data, this study examines intraday liquidity of WTI, Brent, and INE crude oil futures. US EIA inventory announcements significantly affect intraday returns and, to a lesser extent, liquidity across all three markets. We document strong commonality in intraday liquidity, largely driven by supply‐side factors, and find that WTI is the dominant source of liquidity spillovers, a pattern not mirrored in return spillovers. These findings highlight different mechanisms behind liquidity commonality and return comovements. The results are robust to additional control variables and alternative liquidity measures.\n"]